FpML Issues Tracker

1311: predeterminedClearingOrganizationPartyReference AND mutuallyAgreedClearinghouse

June 29, 2023



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Good morning FpML experts.

I have a question about the elements for defining CCPs in swaption FpML schema.

There are three different XPaths where these elements may be located:

  1. swaption/physicalSettlement/predeterminedClearingOrganizationPartyReference
  2. swaption/physicalSettlement/mutuallyAgreedClearinghouse
  3. swaption/cashSettlement/collateralizedCashPriceMethod/mutuallyAgreedClearinghouse
Since the FpML schema for the swaption gives only these XPaths to define the CCP, which looks like it is common to both instruments (the swaption and the underlying swap). 
Do I understand correctly that these XPaths are aimed to determine the CCP that will perform clearing of the underlying swap and the swaption simultaneously ?


  • JasonPolis

    08/17/23 9:30 am

    XAPWG 2023-08-17:

    1. predeterminedClearingOrganizationPartyReference
    was specified prior to 2021 definitions.

    2.  Since 2021 definitions it’s been replaced by mutuallyAgreedClearinghouse to be compliant with terms used in the definitions.

    3. As the choice of the clearinghouse can impact the price, mutuallyAgreedClearinghouse is relevant to cash settlement too.

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